Clustering of financial instruments using jump tail dependence coefficient
DOI10.1007/S10260-017-0411-1zbMATH Open1427.62124OpenAlexW2769252883MaRDI QIDQ2324271FDOQ2324271
Authors: Chen Yang, Wenjun Jiang, Jiang Wu, Xin Liu, Zhichuan Li 
Publication date: 11 September 2019
Published in: Statistical Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10260-017-0411-1
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Processes with independent increments; Lévy processes (60G51) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- An introduction to copulas.
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- The Variance Gamma Process and Option Pricing
- Monte Carlo option pricing for tempered stable (CGMY) processes
- Spatial contagion between financial markets: a copula-based approach
- Non-parametric Estimation of Tail Dependence
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- Jump tail dependence in Lévy copula models
- Modeling high-frequency financial data by pure jump processes
- Nonparametric estimation of the lower tail dependence λLin bivariate copulas
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Clustering of time series via non-parametric tail dependence estimation
- Clustering of financial time series in risky scenarios
- Lévy copulas: review of recent results
- A generalized dynamic conditional correlation model for portfolio risk evaluation
Cited In (5)
- Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
- Trimmed fuzzy clustering of financial time series based on dynamic time warping
- Hierarchical time series clustering on tail dependence with linkage based on a multivariate copula approach
- Clustering financial data for mutual fund management
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
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